Monkey won't smoke or burn
In Blender 2.82, the fluids simulation system has been replaced by Mantaflow which default's caching methods, "modular" doesn't bake on playback. It instead allows you to bake different settings of your simulation individually, which saves a lot of time when you're tweaking your simulation.
You have to manually start the baking via the domain's panel. You can also change the caching method, but honestly the new "modular" is usually a better option).

I'd suggest you follow tutorials specifically made for Blender ≥2.82 or with "mantaflow" specified in the title.